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GC=F vs. FXA
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

GC=F vs. FXA

Last updated May 15, 2025

Compare and contrast key facts about Gold (GC=F) and Invesco CurrencyShares Australian Dollar Trust (FXA).

FXA is a passively managed fund by Invesco that tracks the performance of the USD/AUD Exchange Rate. It was launched on Jun 21, 2006.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GC=F or FXA.

Correlation

The correlation between GC=F and FXA is 0.03, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

GC=F vs. FXA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Gold (GC=F) and Invesco CurrencyShares Australian Dollar Trust (FXA). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

GC=F:

1.95

FXA:

-0.15

Sortino Ratio

GC=F:

2.54

FXA:

-0.09

Omega Ratio

GC=F:

1.34

FXA:

0.99

Calmar Ratio

GC=F:

4.42

FXA:

-0.03

Martin Ratio

GC=F:

11.33

FXA:

-0.20

Ulcer Index

GC=F:

3.12%

FXA:

5.95%

Daily Std Dev

GC=F:

18.13%

FXA:

10.25%

Max Drawdown

GC=F:

-44.36%

FXA:

-40.97%

Current Drawdown

GC=F:

-6.63%

FXA:

-32.57%

Returns By Period

In the year-to-date period, GC=F achieves a 21.15% return, which is significantly higher than FXA's 4.44% return. Over the past 10 years, GC=F has outperformed FXA with an annualized return of 10.04%, while FXA has yielded a comparatively lower -1.60% annualized return.

GC=F

YTD

21.15%

1M

-0.61%

6M

23.42%

1Y

35.34%

5Y*

12.70%

10Y*

10.04%

FXA

YTD

4.44%

1M

1.56%

6M

-0.08%

1Y

-1.50%

5Y*

0.52%

10Y*

-1.60%

*Annualized

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Risk-Adjusted Performance

GC=F vs. FXA — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GC=F
The Risk-Adjusted Performance Rank of GC=F is 9393
Overall Rank
The Sharpe Ratio Rank of GC=F is 9393
Sharpe Ratio Rank
The Sortino Ratio Rank of GC=F is 9393
Sortino Ratio Rank
The Omega Ratio Rank of GC=F is 9393
Omega Ratio Rank
The Calmar Ratio Rank of GC=F is 9393
Calmar Ratio Rank
The Martin Ratio Rank of GC=F is 9393
Martin Ratio Rank
FXA
The Risk-Adjusted Performance Rank of FXA is 1212
Overall Rank
The Sharpe Ratio Rank of FXA is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of FXA is 1010
Sortino Ratio Rank
The Omega Ratio Rank of FXA is 1010
Omega Ratio Rank
The Calmar Ratio Rank of FXA is 1414
Calmar Ratio Rank
The Martin Ratio Rank of FXA is 1313
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

GC=F vs. FXA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Gold (GC=F) and Invesco CurrencyShares Australian Dollar Trust (FXA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

The current GC=F Sharpe Ratio is 1.95, which is higher than the FXA Sharpe Ratio of -0.15. The chart below compares the historical Sharpe Ratios of GC=F and FXA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Drawdowns

GC=F vs. FXA - Drawdown Comparison

The maximum GC=F drawdown since its inception was -44.36%, which is greater than FXA's maximum drawdown of -40.97%. Use the drawdown chart below to compare losses from any high point for GC=F and FXA. For additional features, visit the drawdowns tool.

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Volatility

GC=F vs. FXA - Volatility Comparison

Gold (GC=F) has a higher volatility of 9.34% compared to Invesco CurrencyShares Australian Dollar Trust (FXA) at 3.14%. This indicates that GC=F's price experiences larger fluctuations and is considered to be riskier than FXA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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